Goya also created another painting of the same woman identically posed, but clothed, entitled La maja vestida ("The Clothed maja"). The identity of the model and why the paintings were created are still unknown. Both paintings were first recorded as belonging to the collection of Prime Minister Manuel de Godoy, Duke of Alcudia, and it has been conjectured that the woman depicted was his young mistress. It has also been suggested that the woman was María del Pilar Teresa Cayetana de Silva y Álvarez de Toledo, 13th Duchess of Alba, with whom Goya is rumored to have been romantically involved and did complete known portraits of. However, many scholars have rejected this possibility, including Australian art critic Robert Hughes in his 2003 biography, Goya. Others believe the woman depicted is actually a composite of several different models.

In 1815, the Spanish Inquisition summoned Goya to reveal who commissioned him to create the "obscene" La maja desnuda, and he was consequently stripped of his position as the Spanish court painter. If Goya gave an explanation of the painting's origin to the Inquisition, that account has never surfaced.

In 1930, two sets of stamps depicting La maja desnuda in commemoration of Goya's work were privately produced and later approved by the Spanish Postal Authority. That same year, the United States government barred and returned any mail bearing the stamps.

La Maja Desnuda is in the collection of the Museo del Prado in Madrid and is on display next to La Maja Vestida in the same room.